Orthogonal polynomial expansions to evaluate stop-loss premiums
Résumé
A numerical method is proposed to evaluate the survival function of a compound distribution and the stop-loss premiums associated with a non-proportional global reinsurance treaty. The method relies on a representation of the probability density function in terms of Laguerre polynomials and the gamma density. We compare the method against a well established Laplace transform inversion technique at the end of the paper.
Origine | Fichiers produits par l'(les) auteur(s) |
---|
Loading...